| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5944 |
| 来源ID | Working Paper 5944 |
| Interest Rate Targeting and the Dynamics of Short-Term Rates | |
| Pierluigi Balduzzi; Giuseppe Bertola; Silverio Foresi; Leora Klapper | |
| 发表日期 | 1997-02-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | We find that in 1989-1996, when U.S. monetary policy tightly targeted overnight fed funds rates, the volatility and persistence of spreads between target and term fed funds levels were larger for longer-maturity loans. We show that such patterns are consistent with an expectational model where target revisions are infrequent and predictable. In our model, the (autoco-) variance of the spreads of term fed funds rates from the target increases with maturity because longer-term rates are more heavily influenced by persistent expectations of future target changes. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w5944 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563442 |
| 推荐引用方式 GB/T 7714 | Pierluigi Balduzzi,Giuseppe Bertola,Silverio Foresi,et al. Interest Rate Targeting and the Dynamics of Short-Term Rates. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5944.pdf（1505KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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